人工知能学会論文誌
Online ISSN : 1346-8030
Print ISSN : 1346-0714
ISSN-L : 1346-0714
原著論文
スプレッドディーラーモデルの構築とその応用
松永 健太山田 健太高安 秀樹高安 美佐子
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ジャーナル フリー

2012 年 27 巻 6 号 p. 365-375

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抄録

The dealer model is an agent based model that simulates the simplified dealer's behavior and satisfies various empirical laws of the foreign exchange markets by tuning major three parameters. In this study,we improve the dealer model to satisfy a newly established empirical law about widening of spread as a response to big market price changes. As a result when a big news occurs and the market becomes turbulent, this new model can reproduce broadening of distribution of price change.In a peculiar price change of official intervention in the foreign exchange market by Bank of Japan, this model can be used for estimation of strategies of intervention and responses of the market.

著者関連情報
© 2012 JSAI (The Japanese Society for Artificial Intelligence)
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